CSFB updates credit portfolio risk measurement product

WatersTechnology Staff
01 Oct 2003

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NEW YORK -- Investment bank Credit Suisse First Boston has launched an updated version of its risk measurement tool for credit portfolio managers, PortfolioRisk+ 1.5. The new version features an expected shortfall measure of credit risk and an enhanced tail probability formula for better risk approximations across credit distributions. The system uses forward-looking credit spread distributions from CSFB’s credit underlying securities model, which enables quantitative analysis of individual

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